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PRDSX vs. SCHA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


PRDSXSCHA
YTD Return24.02%20.21%
1Y Return39.47%43.33%
3Y Return (Ann)-2.55%2.76%
5Y Return (Ann)5.27%11.19%
10Y Return (Ann)6.94%9.87%
Sharpe Ratio2.312.25
Sortino Ratio3.143.13
Omega Ratio1.391.39
Calmar Ratio1.211.79
Martin Ratio14.4913.30
Ulcer Index2.86%3.36%
Daily Std Dev17.88%19.90%
Max Drawdown-61.68%-42.41%
Current Drawdown-8.36%0.00%

Correlation

-0.50.00.51.01.0

The correlation between PRDSX and SCHA is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

PRDSX vs. SCHA - Performance Comparison

In the year-to-date period, PRDSX achieves a 24.02% return, which is significantly higher than SCHA's 20.21% return. Over the past 10 years, PRDSX has underperformed SCHA with an annualized return of 6.94%, while SCHA has yielded a comparatively higher 9.87% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
16.23%
17.81%
PRDSX
SCHA

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PRDSX vs. SCHA - Expense Ratio Comparison

PRDSX has a 0.78% expense ratio, which is higher than SCHA's 0.04% expense ratio.


PRDSX
T. Rowe Price QM U.S. Small-Cap Growth Equity Fund
Expense ratio chart for PRDSX: current value at 0.78% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.78%
Expense ratio chart for SCHA: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

PRDSX vs. SCHA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for T. Rowe Price QM U.S. Small-Cap Growth Equity Fund (PRDSX) and Schwab U.S. Small-Cap ETF (SCHA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


PRDSX
Sharpe ratio
The chart of Sharpe ratio for PRDSX, currently valued at 2.31, compared to the broader market0.002.004.002.31
Sortino ratio
The chart of Sortino ratio for PRDSX, currently valued at 3.14, compared to the broader market0.005.0010.003.14
Omega ratio
The chart of Omega ratio for PRDSX, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for PRDSX, currently valued at 1.21, compared to the broader market0.005.0010.0015.0020.001.21
Martin ratio
The chart of Martin ratio for PRDSX, currently valued at 14.49, compared to the broader market0.0020.0040.0060.0080.00100.0014.49
SCHA
Sharpe ratio
The chart of Sharpe ratio for SCHA, currently valued at 2.25, compared to the broader market0.002.004.002.25
Sortino ratio
The chart of Sortino ratio for SCHA, currently valued at 3.13, compared to the broader market0.005.0010.003.13
Omega ratio
The chart of Omega ratio for SCHA, currently valued at 1.39, compared to the broader market1.002.003.004.001.39
Calmar ratio
The chart of Calmar ratio for SCHA, currently valued at 1.79, compared to the broader market0.005.0010.0015.0020.001.79
Martin ratio
The chart of Martin ratio for SCHA, currently valued at 13.30, compared to the broader market0.0020.0040.0060.0080.00100.0013.30

PRDSX vs. SCHA - Sharpe Ratio Comparison

The current PRDSX Sharpe Ratio is 2.31, which is comparable to the SCHA Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of PRDSX and SCHA, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
2.31
2.25
PRDSX
SCHA

Dividends

PRDSX vs. SCHA - Dividend Comparison

PRDSX has not paid dividends to shareholders, while SCHA's dividend yield for the trailing twelve months is around 2.10%.


TTM20232022202120202019201820172016201520142013
PRDSX
T. Rowe Price QM U.S. Small-Cap Growth Equity Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHA
Schwab U.S. Small-Cap ETF
2.10%2.52%2.21%1.48%1.18%1.70%2.33%1.24%2.18%2.61%2.16%1.66%

Drawdowns

PRDSX vs. SCHA - Drawdown Comparison

The maximum PRDSX drawdown since its inception was -61.68%, which is greater than SCHA's maximum drawdown of -42.41%. Use the drawdown chart below to compare losses from any high point for PRDSX and SCHA. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.36%
0
PRDSX
SCHA

Volatility

PRDSX vs. SCHA - Volatility Comparison

The current volatility for T. Rowe Price QM U.S. Small-Cap Growth Equity Fund (PRDSX) is 5.32%, while Schwab U.S. Small-Cap ETF (SCHA) has a volatility of 6.34%. This indicates that PRDSX experiences smaller price fluctuations and is considered to be less risky than SCHA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.32%
6.34%
PRDSX
SCHA